The language for this default option would be entirely dependent upon the context.
In general, however, the copy you do use should be unambiguous. It should clearly inform the user what the result of their non-selection will be upon the state of the system.
For example, eBay allows a seller to choose whether they would like to offer shipping insurance to their buyer. This is an optional service, but if one did choose to use it, there are more than one shipping insurance options to choose from:
You can protect your package against loss or damage during shipping with insurance from ShipCover, the US Postal Service (USPS), or the United Postal Service (UPS).
In this case, the default "non-selection" display copy eBay uses is:
The language is good because even without interacting with the dropdown list it is very clear to the user what the state of shipping insurance will be for their listing.
The language that is best is totally dependent upon the context in which the user will read it.
As such, follow the general guideline of avoiding ambiguous or generic language and strive instead for something that is descriptive within the context of the user's experience with your interface.